This file describes the relevant files for generating Figure 6 in the main text of "When it Rains it Pours: Cascading Shocks to Uncertainty" by Anthony M.Diercks, Alex Hsu, and Andrea Tamoni.

The following codes have been tested with Dynare 5.1.

"figure_irf_third_order.m" is the file that generates the impulse response function for the baseline model solved at the third order approximation.  The code generates an impulse response function automatically based on the EMAS (ergodic mean in the absence of shocks) approach.  The associated code for generating the GIRF can be generated by running the code after the "stop;" line.  

The GIRF code is set to a low number of iterations for the sake of speed based on the line

"irf_replication = 1000;" 

but for the paper, was set to 2500. 

"figure_irf_fourth_order.m" is the file that generates the IRFs for the fourth order approximation and follows a similar format.

For any questions or issues, please reach out to Anthony M. Diercks at Anthony.M.Diercks@frb.gov.

